Diversification performance and stress-betas

Journal of Portfolio Management

Volumn 35, Issue 3, 2009, Pages

  Leibowitz, Martin L ^a   Bova, Anthony ^a  

^a MORGAN STANLEY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 65649137736     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2009.35.3.041     Document Type: Article

References (9)

1. Leibowitz, Martin L. "The β-Plus Measure in Asset Alloca-tion." Journal of Portfolio Management, Spring 2004, pp. 26-36.
2. Leibowitz, Martin L., and Anthony Bova. "Allocation Betas." Financial Analysts Journal, July/ August 2005, pp. 70-82.
3. -. "Gathering Implicit Alphas in a Beta World." Journal of Portfolio Management, Spring 2007a.
4. -. "Stress Betas and Correlation Tightening." Portfolio Analysis Note, Morgan Stanley, December 10, 2007b.
5. -. "The Endowment Model Theory and Experience." Portfolio Analysis Note, Morgan Stanley, August 20, 2008a.
6. -. "The Endowment Model Theory and More Experience." Portfolio Analysis Note, Morgan Stanley, October 9, 2008b.
7. -. "Diversification Performance Under Stress (2008) and Over the Long-Term (93-07)." Portfolio Analysis Note, Morgan Stanley, November 10, 2008c.
8. -. "Stress Risks within Asset and Surplus Frameworks." Portfolio Analysis Note, Morgan Stanley, January 14, 2008d.
9. -. "Stress Beta Pathways." Portfolio Analysis Note, Morgan Stanley, June 4, 2008e.